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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April NY Harbor ULSD(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 18 20 25 25 26 27 27 27 28 28 28
Closed Higher 13 9 12 16 16 17 14 11 14 13 12
Exceeded High 11 7 12 14 15 11 10 8 13 9 12
Scenario Percentage 85% 78% 100% 88% 94% 65% 71% 73% 93% 69% 100%
Avg Max Increase 5.64% 10.17% 11.17% 11.71% 8.91% 7.16% 10.88% 16.38% 10.53% 14.55% 10.54%
Max Increase 12.77% 26.14% 23.82% 59.17% 31.26% 18.91% 23.56% 28.14% 37.61% 28.18% 27.13%
Avg Days To Max Increase 15 21 21 15 15 15 21 16 17 13 18
Avg Max Decline -1.78% -1.08% -2.44% -0.70% -1.68% -1.68% -2.78% -1.83% -3.24% -3.22% -3.07%
Max Decline -6.43% -4.54% -14.20% -3.56% -8.59% -8.11% -8.29% -8.06% -10.05% -8.26% -9.12%
Avg Days to Max Decline 8 10 16 8 9 6 14 4 13 7 5
2007 Contract Condition Yes   Yes Yes       Yes     Yes
Action Yes   Yes Yes       No     Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 18 20 25 25 26 27 27 27 28 28 28
Closed Lower 5 11 13 9 10 10 13 16 14 15 16
Penetrated Low 3 8 10 4 5 9 12 15 13 11 13
Scenario Percentage 60% 73% 77% 44% 50% 90% 92% 94% 93% 73% 81%
Avg Max Decline 4.11% 7.58% 4.12% 5.48% 7.87% 6.59% 11.80% 12.64% 13.35% 13.03% 14.07%
Max Decline 5.22% 13.97% 11.24% 11.82% 18.45% 21.05% 22.23% 30.25% 36.13% 22.36% 52.23%
Avg Days To Max Decline 19 12 11 17 15 14 18 20 20 14 10
Avg Max Increase -3.86% -1.58% -1.78% -4.66% -3.81% -4.33% -1.99% -2.78% -3.50% -3.10% -2.97%
Max Increase -5.93% -8.90% -7.45% -12.41% -13.21% -15.93% -6.84% -10.76% -12.52% -11.25% -11.76%
Avg Days to Max Increase 10 3 6 20 14 15 6 13 13 7 9
2007 Contract Condition   Yes     Yes Yes Yes   Yes Yes  
Action   No     Yes Yes Yes   Yes No  
High 217.46 220.50 219.70 229.04 229.45 211.30 188.00 189.00 188.80 169.11 178.24
Low 197.97 206.56 206.84 216.50 207.50 180.50 173.50 173.50 169.57 149.35 160.40
Close/Last 212.84 212.63 216.81 221.81 212.76 188.27 176.90 187.85 171.02 168.13 177.81

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